OCC's Symbology Initiative and the CME-OCC Cross-Margining SPAN File

On Friday, February 12, the Options Clearing Corporation is mandating certain changes to how OCC-cleared options are represented, as part of its “Symbology Initiative.”

This change will impact the special SPAN file produced nightly by CME Clearing as part of the program for cross-margining of broad-based equity index products.

In particular, in this special CME-OCC cross-margining SPAN® file, the contract period codes for all of the OCC-cleared options will be specific to the day in all cases.  Where today you see mainly monthly options and some daily options, with this change all OCC options will be dailies.

A good example would be the SPZ options on the S&P 500 index.  Currently, these appear as standard monthlies – February, March, April, May, June, Sep and Dec 2010.  With this change, you will see Feb 20, March 20, April 17, May 22, June 19, Sep 18 and Dec 18 options.  (Note that OCC identifies many options as “Saturday” contracts.)

Sample cross-margining SPAN files with this change are available every day at:

ftp.cmegroup.com/pub/span/data/xma/test.

Beginning Friday February 12, the production files will reflect the change.  The production files are located at:

ftp.cmegroup.com/pub/span/data/xma

Note that this change affects only the OCC-cleared index options.   CME and CBOT futures and futures options will not be affected, and will continue to be represented as standard monthly contracts.

For more information please contact CME Clearing at 312-648-3888.